Chapter 2

Linear and Integer

Programming Models

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2.1 Introduction to Linear Programming
• A Linear Programming model seeks to
maximize or minimize a linear function,
subject to a set of linear constraints.
• The linear model consists of the following
components:
– A set of decision variables.
– An objective function.
– A set of constraints.

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 Introduction to Linear Programming
• The Importance of Linear Programming
– Many real world problems lend themselves to linear
programming modeling.
– Many real world problems can be approximated by linear
models.
– There are well-known successful applications in:
• Manufacturing
• Marketing
• Finance (investment)
• Advertising
• Agriculture
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 Introduction to Linear Programming
• The Importance of Linear Programming
– There are efficient solution techniques that solve linear
programming models.
– The output generated from linear programming packages
provides useful “what if” analysis.

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 Introduction to Linear Programming

• Assumptions of the linear programming

model
– The parameter values are known with certainty.
– The objective function and constraints exhibit
constant returns to scale.
– There are no interactions between the decision
variables (the additivity assumption).
– The Continuity assumption: Variables can take
on any value within a given feasible range.
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The Galaxy Industries Production Problem –
A Prototype Example

• Galaxy manufactures two toy doll models:

– Space Ray.
– Zapper.
• Resources are limited to
– 1000 pounds of special plastic.
– 40 hours of production time per week.

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The Galaxy Industries Production Problem –
A Prototype Example
• Marketing requirement
– Total production cannot exceed 700 dozens.
– Number of dozens of Space Rays cannot
exceed number of dozens of Zappers by more
• Technological
than 350. input
– Space Rays requires 2 pounds of plastic and
3 minutes of labor per dozen.
– Zappers requires 1 pound of plastic and
4 minutes of labor per dozen. 7
The Galaxy Industries Production Problem –
A Prototype Example
• The current production plan calls for:
– Producing as much as possible of the more profitable
product, Space Ray ($8 profit per dozen).
– Use resources left over to produce Zappers ($5 profit
per dozen), while remaining within the marketing
guidelines.
• The current production plan consists of:
Space Rays = 450 dozen 8(450) + 5(100)
Zapper = 100 dozen
Profit = $4100 per week
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Management is seeking a
production schedule that
will increase the company’s
profit.

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A linear programming model
can provide an insight and an
intelligent solution to this problem.

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The Galaxy Linear Programming Model

• Decisions variables:
– X1 = Weekly production level of Space Rays (in
dozens)
– X2 = Weekly production level of Zappers (in
dozens).

• Objective Function:
– Weekly profit, to be maximized
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The Galaxy Linear Programming Model

Max 8X1 + 5X2 (Weekly profit)

subject to
2X1 + 1X2 ≤ 1000 (Plastic)
3X1 + 4X2 ≤ 2400 (Production Time)
X1 + X2 ≤ 700 (Total production)
X1 - X2 ≤ 350 (Mix)
Xj> = 0, j = 1,2 (Nonnegativity)
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2.3 The Graphical Analysis of Linear
Programming

The set of all points that satisfy all the

constraints of the model is called
a

FEASIBLE REGION

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Using a graphical presentation
we can represent all the
constraints,
the objective function, and the
three
types of feasible points.
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Graphical Analysis – the Feasible Region
X2

The non-negativity constraints

X1

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 Graphical Analysis – the Feasible Region
X2

1000 The Plastic constraint

2X1+X2 ≤ 1000
700 Total production constraint:
X1+X2 ≤ 700 (redundant)
500

Infeasible
Production Feasible
Time
3X1+4X2 ≤ 2400 X1
500 700

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 Graphical Analysis – the Feasible
Region
X2
1000 The Plastic constraint
2X1+X2 ≤ 1000
700 Total production constraint:
X1+X2 ≤ 700 (redundant)
500
Infeasible
Production mix
constraint:
Production Feasible X1-X2 ≤ 350
Time
3X1+4X2≤ 2400
X1
500 700
Interior points. Boundary points. Extreme points.
• There are three types of feasible points 17
 Solving Graphically for an Optimal Solution

The search for an optimal solution

X2 Start at some arbitrary profit, say profit = $2,000...
1000 Then increase the profit, if possible...
...and continue until it becomes infeasible

700 Profit =$4360

500

X1
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500
 Summary of the optimal solution
Space Rays = 320 dozen
Zappers = 360 dozen
Profit = $4360
– This solution utilizes all the plastic and all the production
hours.

– Total production is only 680 (not 700).

– Space Rays production exceeds Zappers production by only

40 dozens.
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Extreme points and optimal solutions

– If a linear programming problem has an

optimal solution, an extreme point is optimal.

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 Multiple optimal solutions
• For multiple optimal solutions to exist, the objective
function must be parallel to one of the constraints

•Any weighted average of

optimal solutions is also an
optimal solution.

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 2.4 The Role of Sensitivity
Analysis of the Optimal
Solution
• Is the optimal solution sensitive to changes
in input parameters?

• Possible reasons for asking this question:

– Parameter values used were only best estimates.
– Dynamic environment may cause changes.
– “What-if” analysis may provide economical
and operational information.
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 Sensitivity Analysis of
Objective Function Coefficients.

• Range of Optimality
– The optimal solution will remain unchanged as
long as
• An objective function coefficient lies within its range of
optimality
• There are no changes in any other input parameters.

– The value of the objective function will change if

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the
 Sensitivity Analysis of
Objective Function Coefficients.
1000 X2

500

X1
24
500 800
 Sensitivity Analysis of
Objective
X
Function Coefficients.
1000 2

Range of optimality: [3.75, 10]

500

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400 600 800 X1
• Reduced cost
Assuming there are no other changes to the input
parameters, the reduced cost for a variable Xj that has a
value of “0” at the optimal solution is:
– The negative of the objective coefficient increase of the
variable Xj (-∆Cj) necessary for the variable to be positive
in the optimal solution
– Alternatively, it is the change in the objective value per
unit increase of Xj.
• Complementary slackness
At the optimal solution, either the value of a variable is
zero, or its reduced cost is 0.
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 Sensitivity Analysis of
Right-Hand Side Values

• In sensitivity analysis of right-hand sides of

constraints we are interested in the following
questions:
– Keeping all other factors the same, how much would the
optimal value of the objective function (for example, the
profit) change if the right-hand side of a constraint
changed by one unit?
– For how many additional or fewer units will this per unit
change be valid?
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 Sensitivity Analysis of
Right-Hand Side Values
• Any change to the right hand side of a
binding constraint will change the optimal
solution.

• Any change to the right-hand side of a non-

binding constraint that is less than its slack
or surplus, will cause no change in the
optimal solution. 28
 Shadow Prices

• Assuming there are no other changes to the

input parameters, the change to the
objective function value per unit increase to
a right hand side of a constraint is called the
“Shadow Price”

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 Shadow Price – graphical demonstration
The Plastic
constraint X2
When more plastic becomes available (the
plastic constraint is relaxed), the right hand
side of the plastic constraint increases.
1000

Maximum profit = $4360

Maximum profit = $4363.4

500
Shadow price =
4363.40 – 4360.00 = 3.40

Production time X1
constraint
500 30
 Range of Feasibility

• Assuming there are no other changes to the

input parameters, the range of feasibility is
– The range of values for a right hand side of a constraint,
in which the shadow prices for the constraints remain
unchanged.
– In the range of feasibility the objective function value
changes as follows:
Change in objective value =
[Shadow price][Change in the right hand side
value]
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The Plastic
Range of Feasibility
constraint X2

Increasing the amount of

1000 plastic is only effective until a
new constraint becomes active.
Production mix A new active
constraint constraint
X1 + X2 ≤ 700
500
This is an infeasible solution
Production time
constraint

X1

500 32
The Plastic
Range of Feasibility
constraint X2

Note how the profit increases

1000
as the amount of plastic
increases.

500

Production time
constraint

X1

500 33
 Range of Feasibility
X2

Less plastic becomes available (the

1000 plastic constraint is more restrictive).
Infeasible
solution The profit decreases

500

A new active
constraint
X1

500 34
The correct interpretation of shadow prices
– Sunk costs: The shadow price is the value of
an extra unit of the resource, since the cost of
the resource is not included in the calculation of
the objective function coefficient.

– Included costs: The shadow price is the

premium value above the existing unit value for
the resource, since the cost of the resource is
included in the calculation of the objective
function coefficient.
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 Other Post - Optimality Changes

• Addition of a constraint.
• Deletion of a constraint.
• Addition of a variable.
• Deletion of a variable.
• Changes in the left - hand side coefficients.

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